| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 92.0% | 96.0% |
| Cumulative Return | -7.72% | 20.94% |
| CAGR﹪ | -50.25% | 422.03% |
| Sharpe | -4.81 | 3.31 |
| Prob. Sharpe Ratio | 0.03% | 88.89% |
| Smart Sharpe | -4.48 | 3.08 |
| Sortino | -4.78 | 17.09 |
| Smart Sortino | -4.45 | 15.9 |
| Sortino/√2 | -3.38 | 12.08 |
| Smart Sortino/√2 | -3.15 | 11.25 |
| Omega | 0.23 | 0.23 |
| Max Drawdown | -7.89% | -6.17% |
| Longest DD Days | 16 | 29 |
| Volatility (ann.) | 19.28% | 66.96% |
| R^2 | 0.89 | 0.89 |
| Information Ratio | -0.23 | -0.23 |
| Calmar | -6.37 | 68.41 |
| Skew | -3.89 | 4.18 |
| Kurtosis | 17.14 | 19.04 |
| Expected Daily | -0.35% | 0.83% |
| Expected Monthly | -3.94% | 9.97% |
| Expected Yearly | -7.72% | 20.94% |
| Kelly Criterion | -153.7% | -278.02% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.34% | -6.03% |
| Expected Shortfall (cVaR) | -2.34% | -6.03% |
| Max Consecutive Wins | 3 | 4 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | -0.75 | 2.22 |
| Gain/Pain (1M) | -1.0 | 23.68 |
| Payoff Ratio | 0.36 | 0.15 |
| Profit Factor | 0.25 | 3.22 |
| Common Sense Ratio | 0.13 | 4.41 |
| CPC Index | 0.03 | 0.25 |
| Tail Ratio | 0.5 | 1.37 |
| Outlier Win Ratio | 27.46 | 3.25 |
| Outlier Loss Ratio | 4.85 | 4.27 |
| MTD | -7.25% | 22.11% |
| 3M | -7.72% | 20.94% |
| 6M | -7.72% | 20.94% |
| YTD | -7.72% | 20.94% |
| 1Y | -7.72% | 20.94% |
| 3Y (ann.) | -50.25% | 422.03% |
| 5Y (ann.) | -50.25% | 422.03% |
| 10Y (ann.) | -50.25% | 422.03% |
| All-time (ann.) | -50.25% | 422.03% |
| Best Day | 0.69% | 19.48% |
| Worst Day | -5.57% | -2.98% |
| Best Month | -0.5% | 22.11% |
| Worst Month | -7.25% | -0.95% |
| Best Year | -7.72% | 20.94% |
| Worst Year | -7.72% | 20.94% |
| Avg. Drawdown | -3.09% | -2.36% |
| Avg. Drawdown Days | 11 | 12 |
| Recovery Factor | -0.98 | 3.4 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | -2.48 | 2.42 |
| Avg. Up Month | - | - |
| Avg. Down Month | -0.5% | -0.95% |
| Win Days | 33.33% | 50.0% |
| Win Month | 0.0% | 50.0% |
| Win Quarter | 0.0% | 100.0% |
| Win Year | 0.0% | 100.0% |
| Beta | -0.27 | - |
| Alpha | -0.24 | - |
| Correlation | -94.39% | - |
| Treynor Ratio | 54.16% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 20.94 | -7.72 | -0.37 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-09 | 2022-02-25 | -7.89 | 16 |
| 2022-01-17 | 2022-02-01 | -1.03 | 15 |
| 2022-02-07 | 2022-02-08 | -0.34 | 1 |